Your investment in the Notes entails significant
risks, many of which differ from those of a conventional debt security. Your decision to purchase the Notes should be made only
after carefully considering the risks of an investment in the Notes, including those discussed below, with your advisors in light
of your particular circumstances. The Notes are not an appropriate investment for you if you are not knowledgeable about significant
elements of the Notes or financial matters in general. You should carefully review the more detailed explanation of risks relating
to the Notes in the “Risk Factors” sections beginning on page PS-5 of the accompanying product supplement, page S-4
of the accompanying prospectus supplement and page 7 of the accompanying prospectus identified on page PS-3 above.
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Your investment may result in a loss; there is no guaranteed return of principal. There
is no fixed principal repayment amount on the Notes at maturity. If the Notes are not automatically called prior to maturity and
the Final Value of any Underlying is less than its Downside Threshold, at maturity, you will lose 1% of the Stated Principal Amount
for each 1% that the Final Value of the Least Performing Underlying is less than its Initial Value. In that case, you will lose
a significant portion or all of your investment in the Notes. Generally, the longer the Notes remain outstanding, the less likely
the Notes will be subject to an automatic call because of the shorter time remaining for the level of an Underlying that has experienced
a decline to recover. The periods in which it is less likely the Notes will be subject to an automatic call generally coincide
with a period of greater risk of loss of the Stated Principal Amount on your Notes.
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The limited downside protection provided by the Downside Threshold applies only at maturity.
You should be willing to hold your Notes to maturity. If you are able to sell your Notes in the secondary market prior to an
automatic call or maturity, you may have to sell them at a loss relative to your initial investment even if the level of each Underlying
at that time is equal to or greater than its Downside Threshold. All payments on the Notes are subject to the credit risk of BofA
Finance, as issuer, and BAC, as guarantor.
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Your return on the Notes is limited to the return represented by the Contingent Coupon Payments,
if any, over the term of the Notes. Your return on the Notes is limited to the Contingent Coupon Payments paid over the term
of the Notes, regardless of the extent to which the Current Underlying Level or Final Value of any Underlying exceeds its Coupon
Barrier or Initial Value, as applicable. Similarly, the amount payable at maturity or upon an automatic call will never exceed
the sum of the Stated Principal Amount and the applicable Contingent Coupon Payment, regardless of the extent to which the Final
Value or the Current Underlying Level of any Underlying exceeds its Initial Value. In contrast, a direct investment in the securities
included in one or more of the Underlyings would allow you to receive the benefit of any appreciation in their values. Thus, any
return on the Notes will not reflect the return you would realize if you actually owned those securities and received the dividends
paid or distributions made on them.
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The Notes are subject to a potential automatic early call, which would limit your ability to
receive the Contingent Coupon Payments over the full term of the Notes. The Notes are subject to a potential automatic early
call. Beginning in November 2020, the Notes will be automatically called if, on any Observation Date (other than the Final Observation
Date), the Current Underlying Level of the Least Performing Underlying is greater than or equal to its Initial Value. If the Notes
are automatically called prior to the Maturity Date, you will be entitled to receive the Stated Principal Amount and the Contingent
Coupon Payment with respect to the applicable Observation Date. In this case, you will lose the opportunity to continue to receive
Contingent Coupon Payments after the date of automatic call. If the Notes are called prior to the Maturity Date, you may be unable
to invest in other securities with a similar level of risk that could provide a return that is similar to the Notes.
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You may not receive any Contingent Coupon Payments. The Notes do not provide for any regular
fixed coupon payments. Investors in the Notes will not necessarily receive any Contingent Coupon Payments on the Notes. If the
Current Underlying Level of the Least Performing Underlying is less than its Coupon Barrier on an Observation Date, you will not
receive the Contingent Coupon Payment applicable to that Observation Date. If the Current Underlying Level of the Least Performing
Underlying is less than its Coupon Barrier on all the Observation Dates during the term of the Notes, you will not receive any
Contingent Coupon Payments during the term of the Notes, and will not receive a positive return on the Notes.
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Your return on the Notes may be less than the yield on a conventional debt security of comparable
maturity. Any return that you receive on the Notes may be less than the return you would earn if you purchased a conventional
debt security with the same Maturity Date. As a result, your investment in the Notes may not reflect the full opportunity cost
to you when you consider factors, such as inflation, that affect the time value of money. In addition, if interest rates increase
during the term of the Notes, the Contingent Coupon Payment (if any) may be less than the yield on a conventional debt security
of comparable maturity.
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Any payment on the Notes is subject to our credit risk and the credit risk of the Guarantor,
and actual or perceived changes in our or the Guarantor’s creditworthiness are expected to affect the value of the Notes.
The Notes are our senior unsecured debt securities. Any payment on the Notes will be fully and unconditionally guaranteed
by the Guarantor. The Notes are not guaranteed by any entity other than the Guarantor. As a result, your receipt of all payments
on the Notes will be dependent upon our ability and the ability of the Guarantor to repay our respective obligations under the
Notes on the applicable payment date, regardless of the Current Underlying Level or Final Value, as applicable, of any Underlying
as compared to its Coupon Barrier, Downside Threshold or Initial Value, as applicable. No assurance can be given as to what our
financial condition or the financial condition of the Guarantor will be on the Maturity Date. If we and the Guarantor become unable
to meet our respective financial obligations as they become due, you may not receive the amounts payable under the terms of the
Notes and you could lose all of your initial investment.
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In addition, our credit ratings and the credit
ratings of the Guarantor are assessments by ratings agencies of our respective abilities to pay our obligations. Consequently,
our or the Guarantor’s perceived creditworthiness and actual or anticipated decreases in our or the Guarantor’s
credit ratings or increases in the spread between the yield on
our respective securities and the yield on U.S. Treasury securities (the “credit spread”) prior to the Maturity Date
may adversely affect the market value of the Notes. However, because your return on the Notes depends upon factors in addition
to our ability and the ability of the Guarantor to pay our respective obligations, such as the values of the Underlyings, an improvement
in our or the Guarantor’s credit ratings will not reduce the other investment risks related to the Notes.
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The Notes are subject to the market risk of the Underlyings. The return on the Notes, which
may be negative, is directly linked to the performance of the Underlyings and indirectly linked to the value of the securities
included in the Underlyings. The level of the Underlyings can rise or fall sharply due to factors specific to the Underlyings and
the securities included in the Underlyings and the issuers of such securities, such as stock price volatility, earnings and financial
conditions, corporate, industry and regulatory developments, management changes and decisions and other events, as well as general
market factors, such as general stock market or commodity market volatility and levels, interest rates and economic and political
conditions.
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We are a finance subsidiary and, as such, will have limited assets and operations. We are
a finance subsidiary of BAC and will have no assets, operations or revenues other than those related to the issuance, administration
and repayment of our debt securities that are guaranteed by the Guarantor. As a finance subsidiary, to meet our obligations under
the Notes, we are dependent upon payment or contribution of funds and/or repayment of outstanding loans from the Guarantor and/or
its other subsidiaries. Therefore, our ability to make payments on the Notes may be limited.
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The public offering price you pay for the Notes will exceed their initial estimated value.
The range of initial estimated values of the Notes that is provided on the cover page of this preliminary pricing supplement, and
the initial estimated value as of the Trade Date that will be provided in the final pricing supplement, are each estimates only,
determined as of a particular point in time by reference to our and our affiliates' pricing models. These pricing models consider
certain assumptions and variables, including our credit spreads and those of the Guarantor, the Guarantor’s internal funding
rate, mid-market terms on hedging transactions, expectations on interest rates, dividends and volatility, price-sensitivity analysis,
and the expected term of the Notes. These pricing models rely in part on certain forecasts about future events, which may
prove to be incorrect. If you attempt to sell the Notes prior to maturity, their market value may be lower than the price you paid
for them and lower than their initial estimated value. This is due to, among other things, changes in the level of the Underlyings,
the Guarantor’s internal funding rate, and the inclusion in the public offering price of the underwriting discount and the
hedging related charges, all as further described in "Structuring the Notes" below. These factors, together with various
credit, market and economic factors over the term of the Notes, are expected to reduce the price at which you may be able to sell
the Notes in any secondary market and will affect the value of the Notes in complex and unpredictable ways.
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The initial estimated value does not represent a minimum or maximum price at which we, BAC, BofAS
or any of our other affiliates would be willing to purchase your Notes in any secondary market (if any exists) at
any time. The value of your Notes at any time after issuance will vary based on many factors that cannot be predicted with
accuracy, including the performance of the Underlyings, our and BAC’s creditworthiness and changes in
market conditions.
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The price of the Notes that may be paid by BofAS in any secondary market (if BofAS makes a
market, which it is not required to do), as well as the price which may be reflected on customer account statements, will be higher
than the then-current estimated value of the Notes for a limited time period after the Trade Date. As agreed by BofAS and the
distribution participants, for approximately a nine-month period after the Trade Date, to the extent BofAS offers to buy the Notes
in the secondary market, it will do so at a price that will exceed the estimated value of the Notes at that time. The amount
of this excess, which represents a portion of the hedging-related charges expected to be realized by BofAS and the distribution
participants over the term of the Notes, will decline to zero on a straight line basis over that nine-month period. Accordingly,
the estimated value of your Notes during this initial nine-month period may be lower than the value shown on your customer account
statements. Thereafter, if BofAS buys or sells your Notes, it will do so at prices that reflect the estimated value determined
by reference to its pricing models at that time. Any price at any time after the Trade Date will be based on then-prevailing market
conditions and other considerations, including the performance of the Underlyings and the remaining term of the Notes. However,
none of us, the Guarantor, BofAS or any other party is obligated to purchase your Notes at any price or at any time, and we cannot
assure you that any party will purchase your Notes at a price that equals or exceeds the initial estimated value of the Notes.
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We cannot assure you that a trading market for your Notes will ever develop or be maintained.
We will not list the Notes on any securities exchange. We cannot predict how the Notes will trade in any secondary market or
whether that market will be liquid or illiquid.
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The development of a trading market for the Notes
will depend on the Guarantor’s financial performance and other factors, including changes in the levels of the Underlyings.
The number of potential buyers of your Notes in any secondary market may be limited. We anticipate that BofAS will act as a market-maker
for the Notes, but none of us, the Guarantor or BofAS is required to do so. There is no assurance that any party will be willing
to purchase your Notes at any price in any secondary market. BofAS may discontinue its market-making activities as to the Notes
at any time. To the extent that BofAS engages in any market-making activities, it may bid for or offer the Notes. Any price at
which BofAS may bid for, offer, purchase, or sell any Notes may differ from the values determined by pricing models that it may
use, whether as a result of dealer discounts, mark-ups, or other transaction costs. These bids, offers, or completed transactions
may affect the prices, if any, at which the Notes might otherwise trade in the market. In addition, if at any time BofAS were to
cease acting as a market-maker as to the Notes, it is likely that there would be significantly less liquidity in the secondary
market. In such a case, the price at which the Notes could be sold likely would be lower than if an active market existed.
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Economic and market factors have affected the terms of the Notes and may affect the market
value of the Notes prior to maturity or an automatic call. Because market-linked notes, including the Notes, can be thought
of as having a debt component and a derivative component, factors that influence the values of debt instruments and options and
other derivatives will also affect the terms and features of the Notes at
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issuance and the market price of the Notes prior to maturity or
an automatic call. These factors include the levels of the Underlyings and the securities included in the Underlyings; the volatility
of the Underlyings and the securities included in the Underlyings; the correlation among the Underlyings; the dividend rate paid
on the securities included in the Underlyings, if applicable; the time remaining to the maturity of the Notes; interest rates in
the markets; geopolitical conditions and economic, financial, political, force majeure and regulatory or judicial events; whether
each of the Underlyings is currently or has been less than its Coupon Barrier; the availability of comparable instruments; the
creditworthiness of BofA Finance, as issuer, and BAC, as guarantor; and the then current bid-ask spread for the Notes and the factors
discussed under “— Trading and hedging activities by us, the Guarantor and any of our other affiliates, and UBS and
its affiliates, may create conflicts of interest with you and may affect your return on the Notes and their market value”
below. These factors are unpredictable and interrelated and may offset or magnify each other.
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The Contingent Coupon Payment, Payment at Maturity, or payment upon an automatic call, as applicable,
will not reflect the levels of the Underlyings other than on the Observation Dates. The levels of the Underlyings during the
term of the Notes other than on the Observation Dates will not affect payments on the Notes. Notwithstanding the foregoing, investors
should generally be aware of the performance of the Underlyings while holding the Notes, as the performance of the Underlyings
may influence the market value of the Notes. The calculation agent will determine whether each Contingent Coupon Payment is payable
and will calculate the Contingent Coupon Payment or the Payment at Maturity, as applicable, by comparing only the Initial Value,
the Coupon Barrier or the Downside Threshold, as applicable, to the Current Underlying Level or the Final Value for each Underlying.
No other levels of the Underlyings will be taken into account. As a result, if the Notes are not automatically called prior to
maturity and the Final Value of the Least Performing Underlying is less than its Downside Threshold, you will receive less than
the Stated Principal Amount at maturity, even if the level of each Underlying was always above its Downside Threshold prior to
the Final Observation Date.
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The publisher of an Underlying may adjust that Underlying in a way that affects its levels,
and the publisher has no obligation to consider your interests. The publisher of an Underlying can add, delete, or substitute
the components included in that Underlying or make other methodological changes that could change its level. Any of these actions
could adversely affect the value of your Notes.
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You are exposed to the market risk of both Underlyings. Your return on the Notes is not
linked to a basket consisting of the Underlyings. Rather, it will be contingent upon the independent performance of each of the
RTY and the SX5E. Unlike an instrument with a return linked to a basket of underlying assets, in which risk is mitigated and diversified
among all of the components of the basket, you will be exposed to the risks related to both the RTY and the SX5E. Poor performance
by either of the Underlyings over the term of the Notes may negatively affect your return and will not be offset or mitigated by
positive performance by the other Underlying. For the Notes to be automatically called or to receive any Contingent Coupon Payment
or contingent repayment of principal at maturity, both Underlyings must close at or above their respective Initial Values, Coupon
Barriers or Downside Thresholds, respectively, on the applicable Observation Date or Final Observation Date, as applicable. In
addition, if the Notes are not called prior to maturity, you may incur a loss proportionate to the negative return of the Least
Performing Underlying even if the other Underlying appreciates during the term of the Notes. Accordingly, your investment is subject
to the market risk of both Underlyings. Additionally, movements in the values of the Underlyings may be correlated or uncorrelated
at different times during the term of the Notes, and such correlation (or lack thereof) could have an adverse effect on your return
on the Notes. For example, the likelihood that one of the Underlyings will close below its Coupon Barrier on an Observation Date
or below its Downside Threshold on the Final Observation Date will increase when the movements in the values of the Underlyings
are uncorrelated. Thus, if the performance of the Underlyings is not correlated or is negatively correlated, the risk of not receiving
a Contingent Coupon Payment and of incurring a significant loss of principal at maturity is greater. In addition, correlation generally
decreases for each additional Underlying to which the Notes are linked, resulting in a greater potential for a significant loss
of principal at maturity. Although the correlation of the Underlyings’ performance may change over the term of the Notes,
the economic terms of the Notes, including the Contingent Coupon Rate, Downside Thresholds and Coupon Barriers, are determined,
in part, based on the correlation of the Underlyings’ performance calculated using our and our affiliates' pricing models
at the time when the terms of the Notes are finalized. All other things being equal, a higher Contingent Coupon Rate and lower
Downside Threshold and Coupon Barrier is generally associated with lower correlation of the Underlyings, which may indicate a greater
potential for missed Contingent Coupon Payments and/or a significant loss on your investment at maturity. See “Correlation
of the Underlyings” below.
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Because the Notes are linked to the performance of the least performing between the RTY and
the SX5E, you are exposed to greater risk of receiving no Contingent Coupon Payments or sustaining a significant loss on your investment
than if the Notes were linked to just the RTY or just the SX5E. The risk that you will not receive any Contingent Coupon Payments
and/or lose a significant portion or all of your investment in the Notes is greater if you invest in the Notes as opposed to substantially
similar securities that are linked to the performance of just the RTY or just the SX5E. With two Underlyings, it is more likely
that either Underlying will close below its Coupon Barrier on the Observation Dates or below its Downside Threshold on the Final
Observation Date than if the Notes were linked to only one of the Underlyings, and therefore it is more likely that you will not
receive any Contingent Coupon Payments or will receive a Payment at Maturity that is significantly less than the Stated Principal
Amount on the Maturity Date.
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A higher Contingent Coupon Rate and/or a lower Coupon Barrier and/or Downside Threshold may
reflect greater expected volatility of the Underlyings, which is generally associated with a greater risk of loss. Volatility
is a measure of the degree of variation in the levels of the Underlyings over a period of time. The greater the expected volatilities
of the Underlyings at the time the terms of the Notes are set, the greater the expectation is at that time that you may not receive
one or more, or all, Contingent Coupon Payments and that you may lose a significant portion or all of the Stated Principal Amount
at maturity. In addition, the economic terms of the Notes, including the Contingent Coupon Rate, the Coupon Barrier and the Downside
Threshold, are based, in part, on the expected volatilities of the Underlyings at the time the terms of the Notes are set, where
higher expected volatilities will generally be reflected in a higher Contingent Coupon Rate than the fixed rate we would pay on
conventional debt securities of the same maturity and/or on otherwise comparable securities and/or a lower Coupon
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Barrier and/or a lower Downside Threshold as compared to otherwise
comparable securities. Accordingly, a higher Contingent Coupon Rate will generally be indicative of a greater risk of loss while
a lower Coupon Barrier or Downside Threshold does not necessarily indicate that the Notes have a greater likelihood of paying Contingent
Coupon Payments or returning the Stated Principal Amount at maturity. You should be willing to accept the downside market risk
of each Underlying and the potential loss of a significant portion or all of the Stated Principal Amount at maturity.
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Trading and hedging activities by us, the Guarantor and any of our other affiliates, and UBS
and its affiliates, may create conflicts of interest with you and may affect your return on the Notes and their market value. We,
the Guarantor or one or more of our other affiliates, including BofAS, and UBS and its affiliates, may buy or sell the securities
held by or included in the Underlyings, or futures or options contracts on the Underlyings or those securities, or other listed
or over-the-counter derivative instruments linked to the Underlyings or those securities. We, the Guarantor or one or more of our
other affiliates, including BofAS, and UBS and its affiliates also may issue or underwrite other financial instruments with returns
based upon the Underlyings. We expect to enter into arrangements or adjust or close out existing transactions to hedge our obligations
under the Notes. We, the Guarantor or our other affiliates, including BofAS, and UBS and its affiliates also may enter into hedging
transactions relating to other Notes or instruments, some of which may have returns calculated in a manner related to that of the
Notes offered hereby. We or UBS may enter into such hedging arrangements with one of our or their affiliates. Our affiliates or
their affiliates may enter into additional hedging transactions with other parties relating to the Notes and the Underlyings. This
hedging activity is expected to result in a profit to those engaging in the hedging activity, which could be more or less than
initially expected, or the hedging activity could also result in a loss. We and our affiliates and UBS and its affiliates will
price these hedging transactions with the intent to realize a profit, regardless of whether the value of the Notes increases or
decreases. Any profit in connection with such hedging activities will be in addition to any other compensation that we, the Guarantor
and our other affiliates, including BofAS, and UBS and its affiliates receive for the sale of the Notes, which creates an additional
incentive to sell the Notes to you. While we, the Guarantor or one or more of our other affiliates, including BofAS, and UBS and
its affiliates may from time to time own securities represented by the Underlyings, except to the extent that BAC’s or UBS’
common stock may be included in the Underlyings, as applicable, we, the Guarantor and our other affiliates, including BofAS, and
UBS and its affiliates do not control any company included in the Underlyings, and have not verified any disclosure made by any
other company. We, the Guarantor or one or more of our other affiliates, including BofAS, and UBS and its affiliates may execute
such purchases or sales for our own or their own accounts, for business reasons, or in connection with hedging our obligations
under the Notes. The transactions described above may present a conflict of interest between your interest in the Notes and the
interests we, the Guarantor and our other affiliates, including BofAS, and UBS and its affiliates may have in our or their proprietary
accounts, in facilitating transactions, including block trades, for our or their other customers, and in accounts under our or
their management.
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The transactions described above may affect the
value of the Underlyings in a manner that could be adverse to your investment in the Notes. On or before the Trade Date, any purchases
or sales by us, the Guarantor or our other affiliates, including BofAS or others on its behalf, and UBS and its affiliates (including
for the purpose of hedging anticipated exposures) may affect the value of the Underlyings. Consequently, the value of the Underlyings
may change subsequent to the Trade Date, adversely affecting the market value of the Notes. In addition, these activities may decrease
the market value of your Notes prior to maturity, and may affect the amounts to be paid on the Notes. We, the Guarantor or one
or more of our other affiliates, including BofAS, and UBS and its affiliates may purchase or otherwise acquire a long or short
position in the Notes and may hold or resell the Notes. For example, BofAS may enter into these transactions in connection with
any market making activities in which it engages. We cannot assure you that these activities will not adversely affect the value
of the Underlyings, the market value of your Notes prior to maturity or the amounts payable on the Notes.
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There may be potential conflicts of interest involving the calculation agent, which is an affiliate
of ours. We have the right to appoint and remove the calculation agent. One of our affiliates will be the calculation agent
for the Notes and, as such, will make a variety of determinations relating to the Notes, including the amounts that will be paid
on the Notes. Under some circumstances, these duties could result in a conflict of interest between its status as our affiliate
and its responsibilities as calculation agent.
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The Notes are subject to risks associated with small-size capitalization companies. The
stocks composing the RTY are issued by companies with small-sized market capitalization. The stock prices of small-size companies
may be more volatile than stock prices of large capitalization companies. Small-size capitalization companies may be less able
to withstand adverse economic, market, trade and competitive conditions relative to larger companies. Small-size capitalization
companies may also be more susceptible to adverse developments related to their products or services.
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The Notes are subject to risks associated with foreign securities
markets. The SX5E includes certain foreign equity securities. You should be aware that investments in securities linked to
the value of foreign equity securities involve particular risks. The foreign securities markets comprising the SX5E may have less
liquidity and may be more volatile than U.S. or other securities markets and market developments may affect foreign markets differently
from U.S. or other securities markets. Direct or indirect government intervention to stabilize these foreign securities markets,
as well as cross-shareholdings in foreign companies, may affect trading prices and volumes in these markets. Also, there is generally
less publicly available information about foreign companies than about those U.S. companies that are subject to the reporting requirements
of the U.S. Securities and Exchange Commission, and foreign companies are subject to accounting, auditing and financial reporting
standards and requirements that differ from those applicable to U.S. reporting companies. Prices of securities in foreign countries
are subject to political, economic, financial and social factors that apply in those geographical regions. These factors, which
could negatively affect those securities markets, include the possibility of recent or future changes in a foreign government’s
economic and fiscal policies, the possible imposition of, or changes in, currency exchange laws or other laws or restrictions applicable
to foreign companies or investments in foreign equity securities and the possibility of fluctuations in the rate of exchange between
currencies, the possibility of outbreaks of hostility and political instability and the possibility of natural disaster or adverse
public health developments in the region. Moreover, foreign economies
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may differ favorably or unfavorably from the U.S. economy in
important respects such as growth of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency.
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The U.S. federal income tax consequences of an investment in the Notes are uncertain, and may
be adverse to a holder of the Notes. No statutory, judicial, or administrative authority directly addresses the characterization
of the Notes or securities similar to the Notes for U.S. federal income tax purposes. As a result, significant aspects of the U.S.
federal income tax consequences of an investment in the Notes are not certain. Under the terms of the Notes, you will have agreed
with us to treat the Notes as contingent income-bearing single financial contracts, as described below under “U.S. Federal
Income Tax Summary—General.” If the Internal Revenue Service (the “IRS”) were successful in asserting an
alternative characterization for the Notes, the timing and character of income, gain or loss with respect to the Notes may differ.
No ruling will be requested from the IRS with respect to the Notes and no assurance can be given that the IRS will agree with the
statements made in the section entitled “U.S. Federal Income Tax Summary.” You are urged to consult with your own
tax advisor regarding all aspects of the U.S. federal income tax consequences of investing in the Notes.
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Hypothetical terms only. Actual terms may vary. See
the cover page for actual offering terms.
The examples below illustrate the hypothetical payment upon automatic call
or at maturity for a $10.00 Stated Principal Amount Note with the following assumptions* (the actual terms of the Notes will be
determined on the Trade Date; amounts may have been rounded for ease of reference and do not take into account any tax consequences
from investing in the Notes.):
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Stated Principal Amount: $10
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Term: 5 years, unless earlier automatically called
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Hypothetical Initial Values:
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Russell 2000® Index: 100.00
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EURO STOXX 50® Index: 100.00
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Hypothetical Contingent Coupon Rate: 6.00% per annum (or 1.50% per quarter) (the lower end of
the range for the Contingent Coupon Rate)
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Hypothetical quarterly Contingent Coupon Payment: $0.15 per quarter per Note (the lower end of
the range for the Contingent Coupon Payment)
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Observation Dates: Quarterly, automatically callable (other than on the Final Observation Date)
after approximately 1 year] as set forth on page PS-6 of this pricing supplement
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Hypothetical Coupon Barriers:
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Russell 2000® Index: 70.00, which is 70% of its hypothetical Initial Value
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EURO STOXX 50® Index: 70.00, which is 70% of its hypothetical Initial Value
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Hypothetical Downside Thresholds:
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Russell 2000® Index: 70.00, which is 70% of its hypothetical Initial Value
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EURO STOXX 50® Index: 70.00, which is 70% of its hypothetical Initial Value
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*The hypothetical Contingent Coupon
Rate/Contingent Coupon Payment may not represent the actual Contingent Coupon Rate/Contingent Coupon Payment and the hypothetical
Initial Values, Coupon Barriers and Downside Thresholds do not represent the actual Initial Values, Coupon Barriers and Downside
Thresholds, respectively, applicable to the Underlyings. The actual Contingent Coupon Rate/Contingent Coupon Payment, Initial Values,
Coupon Barriers and Downside Thresholds will be determined on the Trade Date. All payments on the Notes are subject to issuer and
guarantor credit risk.
Example 1 — Notes are automatically called on the fourth Observation
Date.
|
Date
|
Current Underlying Level of the Underlying
|
Payment (per Note)
|
|
Russell 2000® Index
|
EURO STOXX 50® Index
|
|
First Observation Date
|
50.00 (below Coupon Barrier)*
|
78.00 (at or above Coupon Barrier)
|
$0.00 (not callable)
|
|
Second Observation Date
|
90.00 (at or above Coupon Barrier)*
|
99.00 (at or above Coupon Barrier)
|
$0.15 (Contingent Coupon Payment — not callable)
|
|
Third Observation Date
|
95.00 (at or above Coupon Barrier)*
|
97.00 (at or above Coupon Barrier)
|
$0.15 (Contingent Coupon Payment — not callable)
|
|
Fourth Observation Date
|
110.00 (at or above Coupon Barrier and Initial Value)*
|
120.00 (at or above Coupon Barrier and Initial Value)
|
$10.15 (Payment upon automatic call)
|
|
|
|
Total Payment:
|
$10.45 (4.50% total return)
|
* Denotes Least Performing Underlying for the applicable Observation Date
The Least Performing Underlying on the first Observation Date closes below
its Coupon Barrier, and as a result no Contingent Coupon Payment is paid on the first Coupon Payment Date. The Least Performing
Underlying closes above its Coupon Barrier on each of the second and third Observation Dates and therefore a Contingent Coupon
Payment is paid on each of the second and third Coupon Payment Dates. On the fourth Observation Date (which is approximately one
year after the Trade Date and is the first Observation Date on which the Notes are subject to potential automatic call), the Least
Performing Underlying closes above its Initial Value, and the Notes are automatically called on the related Coupon Payment Date.
You will receive on the Coupon Payment Date a total of $10.15 per Note, reflecting the $10.00 Stated Principal Amount plus
the applicable Contingent Coupon Payment. When added to the Contingent Coupon Payments of $0.30 received in respect of the prior
Observation Dates, you would have been paid a total of $10.45 per Note for a 4.50% total return on the Notes. No further amount
would be owed to you under the Notes, and you would not participate in the appreciation of the Underlyings.
Example 2 — Notes are NOT automatically called and the Final Value
of the Least Performing Underlying on the Final Observation Date is at or above its Downside Threshold.
|
Date
|
Current Underlying Level of the Underlying
|
Payment (per Note)
|
|
Russell 2000® Index
|
EURO STOXX 50® Index
|
|
First Observation Date
|
99.00 (at or above Coupon Barrier)
|
85.00 (at or above Coupon Barrier)*
|
$0.15 (Contingent Coupon Payment — not callable)
|
|
Second Observation Date
|
95.00 (at or above Coupon Barrier)
|
90.00 (at or above Coupon Barrier)*
|
$0.15 (Contingent Coupon Payment — not callable)
|
|
Third Observation Date
|
75.00 (at or above Coupon Barrier)
|
55.00 (below Coupon Barrier)*
|
$0.00 (not callable)
|
|
Fourth Observation Date
|
90.00 (at or above Coupon Barrier; below Initial Value)
|
66.00 (below Coupon Barrier and Initial Value)*
|
$0.00 (not called)
|
|
Fifth to Nineteenth Observation Dates
|
various (all at or above Coupon Barrier; all below Initial Value)
|
various (all below Coupon Barrier and Initial Value)*
|
$0.00 (not called)
|
|
Final Observation Date
|
78.00 (at or above Downside Threshold)
|
77.00 (at or above Downside Threshold)*
|
$10.15 (Payment at Maturity)
|
|
|
|
Total Payment:
|
$10.45 (4.50% total return)
|
* Denotes Least Performing Underlying for the applicable Observation Date(s)
The Least Performing Underlying on each of the first two Observation Dates
closes above its Coupon Barrier and therefore a Contingent Coupon Payment is paid on each of the first two Coupon Payment Dates.
On each of the third to nineteenth Observation Dates, the Least Performing Underlying closes below its Coupon Barrier. Therefore,
no Contingent Coupon Payment is paid on any related Coupon Payment Date. In addition, on each of the fifth to nineteenth Observation
Dates, the Least Performing Underlying closes below its Initial Value, and as a result the Notes are not automatically called.
On the Final Observation Date, the Least Performing Underlying on the Final Observation Date closes at or above its Downside Threshold.
Therefore, at maturity, you would receive a total of $10.15 per Note, reflecting the $10.00 Stated Principal Amount plus
the applicable Contingent Coupon Payment. When added to the total Contingent Coupon Payments of $0.30 received in respect of the
prior Observation Dates, you would have been paid a total of $10.45 per Note for a 4.50% total return on the Notes over five years.
Example 3 — Notes are NOT automatically called and the Final Value
of the Least Performing Underlying on the Final Observation Date is below its Downside Threshold.
|
Date
|
Current Underlying Level of the Underlying
|
Payment (per Note)
|
|
Russell 2000® Index
|
EURO STOXX 50® Index
|
|
First Observation Date
|
95.00 (at or above Coupon Barrier)
|
66.00 (below Coupon Barrier)*
|
$0 (not callable)
|
|
Second Observation Date
|
69.00 (below Coupon Barrier)*
|
105.00 (at or above Coupon Barrier)
|
$0 (not callable)
|
|
Third Observation Date
|
75.00 (at or above Coupon Barrier)
|
66.00 (below Coupon Barrier)*
|
$0 (not callable)
|
|
Fourth Observation Date
|
80.00 (at or above Coupon Barrier; below Initial Value)
|
65.00 (below Coupon Barrier and Initial Value)*
|
$0 (not called)
|
|
Fifth to Nineteenth Observation Dates
|
Various (all below Coupon Barrier and Initial Value)
|
Various (all below Coupon Barrier and Initial Value)*
|
$0 (not called)
|
|
Final Observation Date
|
110.00 (at or above Downside Threshold)
|
30.00 (below Downside Threshold)*
|
$10.00 × [1 + Underlying Return of the Least Performing
Underlying on the Final Observation Date] =
$10.00 × [1 + -70.00%] =
$10.00 × 0.30 =
$3.00 (Payment at Maturity)
|
|
|
|
Total Payment:
|
$3.00 (-70.00% total return)
|
* Denotes Least Performing Underlying for the applicable Observation Date(s)
The Least Performing Underlying on each Observation Date closes below its
Coupon Barrier, and as a result no Contingent Coupon Payment is paid on any Coupon Payment Date during the term of the Notes. In
addition, on each of the fifth to nineteenth Observation Dates, the Least Performing Underlying closes below its Initial Value,
and as a result the Notes are not automatically called. On the Final Observation Date, the Least Performing Underlying closes below
its Downside Threshold. Therefore, at maturity, investors are exposed to the downside performance of the
Least Performing Underlying and you will receive $3.00 per Note, which
reflects the percentage decrease of the Least Performing Underlying on the Final Observation Date from the Trade Date to the Final
Observation Date.
The
Underlyings
All disclosures contained in this pricing supplement regarding
the Underlyings, including, without limitation, their make-up, method of calculation, and changes in their components, have been
derived from publicly available sources. The information reflects the policies of, and is subject to change by each of FTSE Russell,
the sponsor of the RTY, and STOXX Limited (“STOXX”), the sponsor of the SX5E. We refer to FTSE Russell and STOXX as
the “Underlying Sponsors.” The Underlying Sponsors, which license the copyright and all other rights to the Underlyings,
have no obligation to continue to publish, and may discontinue publication of, the Underlyings. The consequences of any Underlying
Sponsor discontinuing publication of the applicable Underlying are discussed in “Description of the Notes—Discontinuance
of an Index” in the accompanying product supplement. None of us, the Guarantor, the Calculation Agent, or either Selling
Agent accepts any responsibility for the calculation, maintenance or publication of any Underlying or any successor index.
None of us, the Guarantor, the Selling Agents or any of our or their respective
affiliates makes any representation to you as to the future performance of the Underlyings.
You should make your own investigation into the Underlyings.
The Russell 2000® Index
The RTY was developed by Russell Investments (“Russell”)
before FTSE International Limited and Russell combined in 2015 to create FTSE Russell, which is wholly owned by London Stock Exchange
Group. Additional information on the RTY is available at the following website: http://www.ftserussell.com. No information on that
website is deemed to be included or incorporated by reference in this pricing supplement.
Russell began dissemination of the RTY (Bloomberg L.P. index symbol
“RTY”) on January 1, 1984. FTSE Russell calculates and publishes the RTY. The RTY was set to 135 as of the close of
business on December 31, 1986. The RTY is designed to track the performance of the small capitalization segment of the U.S. equity
market. As a subset of the Russell 3000® Index, the RTY consists of the smallest 2,000 companies included in the Russell 3000®
Index. The Russell 3000® Index measures the performance of the largest 3,000 U.S. companies, representing approximately 98%
of the investable U.S. equity market. The RTY is determined, comprised, and calculated by FTSE Russell without regard to the Notes.
Selection of Stocks Comprising the RTY
All companies eligible for inclusion in the RTY must be classified
as a U.S. company under FTSE Russell’s country-assignment methodology. If a company is incorporated, has a stated headquarters
location, and trades in the same country (American Depositary Receipts and American Depositary Shares are not eligible), then the
company is assigned to its country of incorporation. If any of the three factors are not the same, FTSE Russell defines three Home
Country Indicators (“HCIs”): country of incorporation, country of headquarters, and country of the most liquid exchange
(as defined by a two-year average daily dollar trading volume) (“ADDTV”) from all exchanges within a country. Using
the HCIs, FTSE Russell compares the primary location of the company’s assets with the three HCIs. If the primary location
of its assets matches any of the HCIs, then the company is assigned to the primary location of its assets. If there is insufficient
information to determine the country in which the company’s assets are primarily located, FTSE Russell will use the primary
country from which the company’s revenues are primarily derived for the comparison with the three HCIs in a similar manner.
FTSE Russell uses the average of two years of assets or revenues data to reduce potential turnover. If conclusive country details
cannot be derived from assets or revenues data, FTSE Russell will assign the company to the country of its headquarters, which
is defined as the address of the company’s principal executive offices, unless that country is a Benefit Driven Incorporation
“BDI” country, in which case the company will be assigned to the country of its most liquid stock exchange. BDI countries
include: Anguilla, Antigua and Barbuda, Bahamas, Barbados, Belize, Bermuda, Bonaire, British Virgin Islands, Cayman Islands, Channel
Islands, Cook Islands, Curacao, Faroe Islands, Gibraltar, Guernsey, Isle of Man, Jersey, Liberia, Marshall Islands, Panama, Saba,
Sint Eustatius, Sint Maarten, and Turks and Caicos Islands. For any companies incorporated or headquartered in a U.S. territory,
including countries such as Puerto Rico, Guam, and U.S. Virgin Islands, a U.S. HCI is assigned.
All securities eligible for inclusion in the RTY must trade on a major
U.S. exchange. Stocks must have a closing price at or above $1.00 on their primary exchange on the last trading day in May to be
eligible for inclusion during annual reconstitution. However, in order to reduce unnecessary turnover, if an existing member’s
closing price is less than $1.00 on the last day of May, it will be considered eligible if the average of the daily closing prices
(from its primary exchange) during the month of May is equal to or greater than $1.00. Initial public offerings are added each
quarter and must have a closing price at or above $1.00 on the last day of their eligibility period in order to qualify for index
inclusion. If an existing stock does not trade on the “rank day” (typically the last trading day in May but a confirmed
timetable is announced each spring) but does have a closing price at or above $1.00 on another eligible U.S. exchange, that stock
will be eligible for inclusion.
An important criterion used to determine the list of securities eligible
for the RTY is total market capitalization, which is defined as the market price as of the last trading day in May for those securities
being considered at annual reconstitution times the total number of shares outstanding. Where applicable, common stock, non-restricted
exchangeable shares and partnership units/membership interests are used to determine market capitalization. Any other form of shares
such as preferred stock, convertible preferred stock, redeemable shares, participating preferred stock, warrants and rights, installment
receipts or trust receipts, are excluded from the calculation. If multiple share classes of common stock exist, they are combined.
In cases where the common stock share classes act independently of each other (e.g., tracking stocks), each class is considered
for inclusion separately. If multiple share classes exist, the pricing vehicle will be designated as the share class with the highest
two-year trading volume as of the rank day in May.
Companies with a total market capitalization of less than $30 million
are not eligible for the RTY. Similarly, companies with only 5% or less of their shares available in the marketplace are not eligible
for the RTY. Royalty trusts, limited liability companies, closed-end investment companies
(companies that are required to report Acquired Fund
Fees and Expenses, as defined by the SEC, including business development companies), blank check companies, special purpose acquisition
companies, and limited partnerships are also ineligible for inclusion. Bulletin board, pink sheets, and over-the-counter (“OTC”)
traded securities are not eligible for inclusion. Exchange traded funds and mutual funds are also excluded.
Annual reconstitution is a process by which the RTY is completely
rebuilt. Based on closing levels of the company’s common stock on its primary exchange on the rank day of May of each year,
FTSE Russell reconstitutes the composition of the RTY using the then existing market capitalizations of eligible companies. Reconstitution
of the RTY occurs on the last Friday in June or, when the last Friday in June is the 29th or 30th, reconstitution occurs on the
prior Friday. In addition, FTSE Russell adds initial public offerings to the RTY on a quarterly basis based on total market capitalization
ranking within the market-adjusted capitalization breaks established during the most recent reconstitution. After membership is
determined, a security’s shares are adjusted to include only those shares available to the public. This is often referred
to as “free float.” The purpose of the adjustment is to exclude from market calculations the capitalization that is
not available for purchase and is not part of the investable opportunity set.
The following graph sets forth the daily historical performance of the
RTY in the period from January 1, 2008 through November 4, 2019. We obtained this historical data from Bloomberg L.P. We have not
independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. The horizontal line in the
graph represents its hypothetical Coupon Barrier and Downside Threshold of 1,118.177 (rounded to three decimal places), which is
70% of its hypothetical Initial Value of 1,597.396, which was its closing level on November 4, 2019. The actual Initial Value,
Coupon Barrier and Downside Threshold will be determined on the Trade Date.
This historical data on the RTY is not necessarily indicative of the
future performance of the RTY or what the value of the Notes may be. Any historical upward or downward trend in the level of the
RTY during any period set forth above is not an indication that the level of the RTY is more or less likely to increase or decrease
at any time over the term of the Notes.
Before investing in the Notes, you should consult publicly available
sources for the levels of the RTY.
License Agreement
“Russell 2000®” and “Russell 3000®”
are trademarks of FTSE Russell and have been licensed for use by our affiliate, MLPF&S. The Notes are not sponsored, endorsed,
sold, or promoted by FTSE Russell, and FTSE Russell makes no representation regarding the advisability of investing in the Notes.
FTSE Russell and MLPF&S have entered into a non-exclusive license
agreement providing for the license to MLPF&S and its affiliates, including us, in exchange for a fee, of the right to use
indices owned and published by FTSE Russell in connection with some securities, including the Notes. The license agreement provides
that the following language must be stated in this pricing supplement:
The Notes are not sponsored, endorsed, sold, or promoted by FTSE Russell.
FTSE Russell makes no representation or warranty, express or implied, to the holders of the Notes or any member of the public regarding
the advisability of investing in securities generally or in the Notes particularly or the ability of the RTY to track general stock
market performance or a segment of the same. FTSE Russell’s publication of the RTY in no way suggests or implies an opinion
by FTSE Russell as to the advisability of investment in any or all of the securities upon which the RTY is based. FTSE Russell’s
only relationship to MLPF&S and to us is the licensing of certain trademarks and trade names of FTSE Russell and of the RTY,
which is determined, composed, and calculated by FTSE Russell without regard to MLPF&S, us, or the Notes. FTSE Russell is not
responsible for and has not reviewed the Notes nor any associated literature or publications and FTSE Russell makes no representation
or warranty express or implied as to their accuracy or completeness, or otherwise. FTSE Russell reserves the right, at any time
and without notice, to alter, amend, terminate, or in any way change the RTY. FTSE Russell has no obligation or liability in connection
with the administration, marketing, or trading of the Notes.
FTSE RUSSELL DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS
OF THE RTY OR ANY DATA INCLUDED THEREIN AND FTSE RUSSELL SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN.
FTSE RUSSELL MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY MLPF&S, US, HOLDERS OF THE NOTES, OR ANY
OTHER PERSON OR ENTITY FROM THE USE OF THE RTY OR ANY DATA INCLUDED THEREIN. FTSE RUSSELL MAKES NO EXPRESS OR IMPLIED WARRANTIES,
AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE RTY OR
ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL FTSE RUSSELL HAVE ANY LIABILITY FOR ANY SPECIAL,
PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
The EURO STOXX 50® Index
The SX5E was created by STOXX, which is owned by Deutsche
Börse AG. Publication of the SX5E began in February 1998, based on an initial index level of 1,000 at December 31, 1991.
Index Composition and Maintenance
The SX5E is composed of 50
stocks from 11 Eurozone countries (Austria, Belgium, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Portugal
and Spain) of the STOXX Europe 600 Supersector indices. The STOXX 600 Supersector indices contain the 600 largest stocks traded
on the major exchanges of 18 European countries and are organized into the following 19 Supersectors: automobiles & parts;
banks; basic resources; chemicals; construction & materials; financial services; food & beverage; health care; industrial
goods & services; insurance; media; oil & gas; personal & household goods; real estate; retail; technology; telecommunications;
travel & leisure and utilities.
For each of the 19 EURO STOXX
regional supersector indices, the stocks are ranked in terms of free-float market capitalization. The largest stocks are added
to the selection list until the coverage is close to, but still less than, 60% of the free-float market capitalization of the corresponding
supersector index. If the next highest-ranked stock brings the coverage closer to 60% in absolute terms, then it is also added
to the selection list. All current stocks in the SX5E are then added to the selection list. All of the stocks on the selection
list are then ranked in terms of free-float market capitalization to produce the final index selection list. The largest 40 stocks
on the selection list are selected; the remaining 10 stocks are selected from the largest remaining current stocks ranked between
41 and 60; if the number of stocks selected is still below 50, then the largest remaining stocks are selected until there are 50
stocks. In exceptional cases, STOXX’s management board can add stocks to and remove them from the selection list.
The index components are subject
to a capped maximum index weight of 10%, which is applied on a quarterly basis.
The composition of the SX5E
is reviewed annually, based on the closing stock data on the last trading day in August. Changes in the composition of the SX5E
are made to ensure that the SX5E includes the 50 market sector leaders from within the EURO STOXX® Index.
The free float factors for
each component stock used to calculate the SX5E, as described below, are reviewed, calculated, and implemented on a quarterly basis
and are fixed until the next quarterly review.
The SX5E is subject to a “fast
exit rule.” The index components are monitored for any changes based on the monthly selection list ranking. A stock is deleted
from the SX5E if: (a) it ranks 75 or below on the monthly selection list and (b) it has been ranked 75 or below for a consecutive
period of two months in the monthly selection list. The highest-ranked stock that is not an index component will replace it. Changes
will be implemented on the close of the fifth trading day of the month, and are effective the next trading day.
The SX5E is also subject to
a “fast entry rule.” All stocks on the latest selection lists and initial public offering (IPO) stocks are reviewed
for a fast-track addition on a quarterly basis. A stock is added, if (a) it qualifies for the latest STOXX blue-chip selection
list generated end of February, May, August or November and (b) it ranks within the “lower buffer” on this selection
list.
The SX5E is also reviewed on an ongoing monthly basis.
Corporate actions (including initial public offerings, mergers and takeovers, spin-offs, delistings, and bankruptcy) that affect
the index composition are announced immediately, implemented two trading days later and become effective on the next trading day
after implementation.
Index Calculation
The SX5E is calculated with
the “Laspeyres formula,” which measures the aggregate price changes in the component stocks against a fixed base quantity
weight. The formula for calculating the index value can be expressed as follows:
|
EURO
STOXX 50® Index =
|
Free
float market capitalization of the EURO STOXX 50® Index
|
|
|
|
Divisor
|
|
The “free float market capitalization
of the Index” is equal to the sum of the product of the price, the number of shares and the free float factor and the weighting
cap factor for each component stock as of the time the SX5E is being calculated.
The SX5E is also subject to
a divisor, which is adjusted to maintain the continuity of the index values across changes due to corporate actions, such as the
deletion and addition of stocks, the substitution of stocks, stock dividends, and stock splits.
Neither we nor any of
our affiliates, including MLPF&S, accepts any responsibility for the calculation, maintenance, or publication of, or for any
error, omission, or disruption in, the SX5E or any successor to the SX5E. STOXX does not guarantee the accuracy or the completeness
of the SX5E or any data included in the SX5E. STOXX assumes no liability for any errors, omissions, or disruption in the calculation
and dissemination of the SX5E. STOXX disclaims all responsibility for any errors or omissions in the calculation and dissemination
of the SX5E or the manner in which the SX5E is applied in determining the amount payable on the Notes at maturity.
The following graph sets forth the daily historical performance of the
SX5E in the period from January 1, 2008 through November 4, 2019. We obtained this historical data from Bloomberg L.P. We have
not independently verified the accuracy or completeness of the information obtained from Bloomberg L.P. The horizontal line in
the graph represents its hypothetical Coupon Barrier and Downside Threshold of 2,565.65 (rounded to two decimal places), which
is 70% of its hypothetical Initial Value of 3,665.21, which was its closing level on November 4, 2019. The actual Initial Value,
Coupon Barrier and Downside Threshold will be determined on the Trade Date.
This historical data on the SX5E is not necessarily indicative of the
future performance of the SX5E or what the value of the Notes may be. Any historical upward or downward trend in the level of the
SX5E during any period set forth above is not an indication that the level of the SX5E is more or less likely to increase or decrease
at any time over the term of the Notes.
Before investing in the Notes, you should consult publicly available sources
for the levels of the SX5E.
License Agreement
One of our affiliates has entered into
a non-exclusive license agreement with STOXX providing for the license to it and certain of its affiliated companies, including
us, of the right to use indices owned and published by STOXX (including the SX5E) in connection with certain securities, including
the Notes.
The license agreement requires that
the following language be stated in this pricing supplement:
“STOXX Limited, Deutsche Börse
Group and their licensors, research partners or data providers have no relationship to us other than the licensing of the SX5E
and the related trademarks for use in connection with the Notes.
STOXX, Deutsche Börse Group and their licensors,
research partners or data providers do not:
|
|
·
|
sponsor, endorse, sell or promote
the Notes.
|
|
|
·
|
recommend that any person invest
in the Notes or any other securities.
|
|
|
·
|
have any responsibility or liability for or make any decisions about the timing, amount or pricing
of the Notes.
|
|
|
·
|
have any responsibility or liability for the administration, management or marketing of the Notes.
|
|
|
·
|
consider the needs of the Notes or the owners of the Notes in determining, composing or calculating
the SX5E or have any obligation to do so.
|
STOXX, Deutsche Börse Group and their licensors,
research partners or data providers give no warranty, and exclude any liability (whether in negligence or otherwise), in connection
with the Notes or their performance.
STOXX does not assume any contractual relationship
with the purchasers of the Notes or any other third parties.
Specifically,
|
|
·
|
STOXX, Deutsche Börse Group and their licensors, research partners or data providers do not
give any warranty, express or implied, and exclude any liability about:
|
|
|
o
|
The results to be obtained by the Notes, the owner of the Notes or any other person in connection
with the use of the SX5E and the data included in the SX5E;
|
|
|
o
|
The accuracy, timeliness, and completeness of the SX5E and its data;
|
|
|
o
|
The merchantability and the fitness for a particular purpose or use of the SX5E and its data;
|
|
|
o
|
The performance of the Notes generally.
|
|
|
·
|
STOXX, Deutsche Börse Group and their licensors, research partners or data providers give
no warranty and exclude any liability, for any errors, omissions or interruptions in the SX5E or its data;
|
|
|
·
|
Under no circumstances will STOXX, Deutsche Börse Group or their licensors, research partners
or data providers be liable (whether in negligence or otherwise) for any lost profits or indirect, punitive, special or consequential
damages or losses, arising as a result of such errors, omissions or interruptions in the SX5E or its data or generally in relation
to the Notes, even in circumstances where STOXX, Deutsche Börse Group or their licensors, research partners or data providers
are aware that such loss or damage may occur.
|
The licensing agreement discussed above is solely for our benefit and
that of STOXX, and not for the benefit of the owners of the Notes or any other third parties.”
Correlation of the Underlyings
The graph below illustrates the daily performance of the RTY and the SX5E from
January 1, 2008 through November 4, 2019. For comparison purposes, each Underlying has been “normalized” to have a
closing level of 100 on January 1, 2008 by dividing the closing level of that Underlying on each trading day by the closing level
of that Underlying on January 1, 2008 and multiplying by 100. We obtained the closing levels used to determine the normalized closing
levels set forth below from Bloomberg L.P., without independent verification.
The correlation of a pair of Underlyings represents a statistical measurement
of the degree to which the returns of those Underlyings were similar to each other over a given period in terms of timing and direction.
The correlation between a pair of Underlyings is scaled from 1.0 to -1.0, with 1.0 indicating perfect positive correlation (i.e.,
the value of both Underlyings are increasing together or decreasing together and the ratio of their returns has been constant),
0 indicating no correlation (i.e., there is no statistical relationship between the returns of that pair of Underlyings)
and -1.0 indicating perfect negative correlation (i.e., as the value of one Underlying increases, the value of the other
Underlying decreases and the ratio of their returns has been constant).
The graph below illustrates the historical performance of each Underlying relative
to each other over the time period shown and provides an indication of how close the relative performance of each Underlying has
historically been to the other Underlying. A closer relationship between the daily returns of two or more underlying assets over
a given period indicates that such underlying assets have been more positively correlated. Lower (or more-negative) correlation
among two or more underlying assets over a given period may indicate that it is less likely that those underlying assets will subsequently
move in the same direction. Therefore, lower correlation among the Underlyings may indicate a greater potential for one of the
Underlyings to close below its respective Coupon Barrier or Downside Threshold on an Observation Date, including the Final Observation
Date, as applicable, because there may be a greater likelihood that at least one of the Underlyings will decrease in value significantly.
However, even if the Underlyings have a higher positive correlation, one or both of the Underlyings may close below the respective
Coupon Barrier(s) or Downside Threshold(s) on an Observation Date or the Final Observation Date, as applicable, as the Underlyings
may both decrease in value. Moreover, the actual correlation among the Underlyings may differ, perhaps significantly, from their
historical correlation. Although the correlation of the Underlyings’ performance may change over the term of the Notes, the
economic terms of the Notes, including the Contingent Coupon Rate, Downside Threshold and Coupon Barrier are determined, in part,
based on the correlation of the Underlyings’ performance calculated using our and our affiliates' pricing models at the time
when the terms of the Notes are finalized. All other things being equal, a higher Contingent Coupon Rate and lower Downside Threshold
and Coupon Barrier is generally associated with lower correlation among the Underlyings, which may indicate a greater potential
for missed Contingent Coupon Payments and/or a significant loss on your investment at maturity. See “Risk Factors —
You are exposed to the market risk of both Underlyings”, “—Because the Notes are linked to the performance of
the least performing between the RTY and the SX5E, you are exposed to greater risk of receiving no Contingent Coupon Payments or
sustaining a significant loss on your investment than if the Notes were linked to just the RTY or just the SX5E” and “—A
higher Contingent Coupon Rate and/or a lower Coupon Barrier and/or Downside Threshold may reflect greater expected volatility of
the Underlyings, which is generally associated with a greater risk of loss” herein.
Past performance and correlation of the Underlyings are not indicative of the
future performance or correlation of the Underlyings.
Supplement to the Plan of Distribution; Role of BofAS and Conflicts of Interest
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BofAS, an affiliate of BofA Finance and the lead selling agent for the sale
of the Notes, will receive an underwriting discount of $0.25 for any Note sold in this offering. UBS, as selling agent for sales
of the Notes, expects to purchase from BofAS, and BofAS expects to sell to UBS, all of the Notes sold in this offering for $9.75
per Note. UBS proposes to offer the Notes to the public at a price of $10.00 per Note. UBS will receive an underwriting discount
of $0.25 for each Note it sells to the public. The underwriting discount will be received by UBS and its financial advisors collectively.
If all of the Notes are not sold at the initial offering price, BofAS may change the public offering price and other selling terms.
BofAS, a broker-dealer affiliate of ours, is a member of the Financial
Industry Regulatory Authority, Inc. (“FINRA”) and will participate as lead selling agent in the distribution of the
Notes. Accordingly, the offering of the Notes will conform to the requirements of FINRA Rule 5121. BofAS may not make sales in
this offering to any of its discretionary accounts without the prior written approval of the account holder.
We will deliver the Notes against payment therefor in New York, New York
on a date that is greater than two business days following the Trade Date. Under Rule 15c6-1 of the Securities Exchange Act of
1934, trades in the secondary market generally are required to settle in two business days, unless the parties to any such trade
expressly agree otherwise. Accordingly, purchasers who wish to trade the Notes more than two business days prior to the Issue Date
will be required to specify alternative settlement arrangements to prevent a failed settlement.
BofAS and any of our other broker-dealer affiliates may use this pricing
supplement, and the accompanying product supplement, prospectus supplement and prospectus, for offers and sales in secondary market
transactions and market-making transactions in the Notes. However, they are not obligated to engage in such secondary market transactions
and/or market-making transactions. BofAS may act as principal or agent in these transactions, and any such sales will be made at
prices related to prevailing market conditions at the time of the sale.
As agreed by BofAS and the distribution participants, for approximately
a nine-month period after the Trade Date, to the extent BofAS offers to buy the Notes in the secondary market, it will do so at
a price that will exceed the estimated value of the Notes at that time. The amount of this excess will decline on a straight line
basis over that period. Thereafter, if BofAS buys or sells your Notes, it will do so at prices that reflect the estimated value
determined by reference to its pricing models at that time. Any price at any time after the Trade Date will be based on then-prevailing
market conditions and other considerations, including the performance of the Underlyings and the remaining term of the Notes. However,
none of us, the Guarantor, BofAS, UBS or any other party is obligated to purchase your Notes at any price or at any time, and we
cannot assure you that any party will purchase your Notes at a price that equals or exceeds the initial estimated value of the
Notes.
Any price that BofAS may pay to repurchase the Notes will depend upon
then prevailing market conditions, the creditworthiness of us and the Guarantor, and transaction costs. At certain times, this
price may be higher than or lower than the initial estimated value of the Notes.
Sales Outside of the United States
The Notes have not been approved for public sale in any jurisdiction
outside of the United States. There has been no registration or filing as to the Notes with any regulatory, securities, banking,
or local authority outside of the United States and no action has been taken by BofA Finance, BAC, BofAS or any other affiliate
of BAC, or by UBS or any of its affiliates, to offer the Notes in any jurisdiction other than the United States. As such, these
Notes are made available to investors outside of the United States only in jurisdictions where it is lawful to make such offer
or sale and only under circumstances that will result in compliance with applicable laws and regulations, including private placement
requirements.
Further, no offer or sale of the notes is being made to residents of:
You are urged to carefully review the Selling Restrictions that may
be applicable to your jurisdiction beginning on page S-18 of the accompanying prospectus supplement.
European Economic Area
None of this pricing supplement, the accompanying product supplement,
the accompanying prospectus or the accompanying prospectus supplement is a prospectus for the purposes of the Prospectus Regulation
(as defined below). This pricing supplement, the accompanying product supplement, the accompanying prospectus and the accompanying
prospectus supplement have been prepared on the basis that any offer of Notes in any Member State of the European Economic Area
(the “EEA”) which has implemented the Prospectus Regulation (each, a “Relevant Member
State”) will only be made to a legal entity
which is a qualified investor under the Prospectus Regulation (“Qualified Investors”). Accordingly any person making
or intending to make an offer in that Relevant Member State of Notes which are the subject of the offering contemplated in this
pricing supplement, the accompanying product supplement, the accompanying prospectus and the accompanying prospectus supplement
may only do so with respect to Qualified Investors. Neither BofA Finance nor BAC have authorized, nor do they authorize, the making
of any offer of Notes other than to Qualified Investors. The expression “Prospectus Regulation” means Regulation (EU)
2017/1129.
PROHIBITION OF SALES TO EEA RETAIL INVESTORS – The Notes
are not intended to be offered, sold or otherwise made available to and should not be offered, sold or otherwise made available
to any retail investor in the EEA. For these purposes: (a) a retail investor means a person who is one (or more) of: (i) a retail
client as defined in point (11) of Article 4(1) of Directive 2014/65/EU, as amended (“MiFID II”); or (ii) a customer
within the meaning of Directive (EU) 2016/97 (the Insurance Distribution Directive), as amended or superseded, where that customer
would not qualify as a professional client as defined in point (10) of Article 4(1) of MiFID II; or (iii) not a qualified investor
as defined in the Prospectus Regulation; and (b) the expression “offer” includes the communication in any form and
by any means of sufficient information on the terms of the offer and the Notes to be offered so as to enable an investor to decide
to purchase or subscribe for the Notes. Consequently no key information document required by Regulation (EU) No 1286/2014, as amended
(the “PRIIPs Regulation”) for offering or selling the Notes or otherwise making them available to retail investors
in the EEA has been prepared and therefore offering or selling the Notes or otherwise making them available to any retail investor
in the EEA may be unlawful under the PRIIPs Regulation.
The communication of this pricing supplement, the accompanying product
supplement, the accompanying prospectus supplement, the accompanying prospectus and any other document or materials relating to
the issue of the Notes offered hereby is not being made, and such documents and/or materials have not been approved, by an authorized
person for the purposes of section 21 of the United Kingdom’s Financial Services and Markets Act 2000, as amended (the “FSMA”).
Accordingly, such documents and/or materials are not being distributed to, and must not be passed on to, the general public in
the United Kingdom. The communication of such documents and/or materials as a financial promotion is only being made to those persons
in the United Kingdom who have professional experience in matters relating to investments and who fall within the definition of
investment professionals (as defined in Article 19(5) of the Financial Services and Markets Act 2000 (Financial Promotion) Order
2005, as amended (the “Financial Promotion Order”)), or who fall within Article 49(2)(a) to (d) of the Financial Promotion
Order, or who are any other persons to whom it may otherwise lawfully be made under the Financial Promotion Order (all such persons
together being referred to as “relevant persons”). In the United Kingdom, the Notes offered hereby are only available
to, and any investment or investment activity to which this pricing supplement, the accompanying product supplement, the accompanying
prospectus supplement and the accompanying prospectus relates will be engaged in only with, relevant persons. Any person in the
United Kingdom that is not a relevant person should not act or rely on this pricing supplement, the accompanying product supplement,
the accompanying prospectus supplement or the accompanying prospectus or any of their contents.
Any invitation or inducement to engage in investment activity (within
the meaning of Section 21 of the FSMA) in connection with the issue or sale of the Notes may only be communicated or caused to
be communicated in circumstances in which Section 21(1) of the FSMA does not apply to the issuer or the guarantor.
All applicable provisions of the FSMA must be complied with in respect
to anything done by any person in relation to the Notes in, from or otherwise involving the United Kingdom.
Structuring
the Notes
Any payments on the Notes, including any Contingent Coupon Payments,
depend on the credit risk of BofA Finance and BAC and on the performance of each of the Underlyings. The economic terms of the
Notes are based on BAC’s internal funding rate, which is the rate it would pay to borrow funds through the issuance of market-linked
Notes, and the economic terms of certain related hedging arrangements it enters into. BAC’s internal funding rate is typically
lower than the rate it would pay when it issues conventional fixed or floating rate debt securities. This difference in funding
rate, as well as the underwriting discount and the hedging related charges described elsewhere in this pricing supplement, will
reduce the economic terms of the Notes to you and the initial estimated value of the Notes. Due to these factors, the public offering
price you pay to purchase the Notes will be greater than the initial estimated value of the Notes as of the Trade Date.
On the cover page of this preliminary pricing supplement, we have provided
the initial estimated value range for the Notes. The final pricing supplement will set forth the initial estimated value of the
Notes as of the Trade Date.
The Notes are our debt securities, the return on which is linked
to the performance of the Underlyings. The related guarantees are BAC’s obligations. As is the case for all of our and BAC’s
respective debt securities, including our market-linked notes, the economic terms of the Notes reflect our and BAC’s actual
or perceived creditworthiness at the time of pricing. In addition, because market-linked notes result in increased operational,
funding and liability management costs to us and BAC, BAC typically borrows the funds under these types of notes at a rate, which
we refer to in this pricing supplement as BAC’s internal funding rate, that is more favorable to BAC than the rate that it
might pay for a conventional fixed or floating rate debt security. This generally relatively lower internal funding rate, which
is reflected in the economic terms of the Notes, along with the fees and charges associated with market-linked notes, typically
results in the initial estimated value of the Notes on the Trade Date being less than their public offering price.
In order to meet our payment obligations on the Notes, at the
time we issue the Notes, we may choose to enter into certain hedging arrangements (which may include call options, put options
or other derivatives) with BofAS or one of our other affiliates. The terms of these hedging arrangements are determined based upon
terms provided by MLP&S and its affiliates, and take into account a number of factors, including our and BAC’s creditworthiness,
interest rate movements, the volatility of the Underlyings, the tenor of the Notes and the hedging arrangements. The economic terms
of the Notes and their initial estimated value depend in part on the terms of these hedging arrangements.
BofAS has advised us that the hedging arrangements will include
hedging related charges, reflecting the costs associated with, and our affiliates’ profit earned from, these hedging arrangements.
Since hedging entails risk and may be influenced by unpredictable market forces, actual profits or losses from these hedging transactions
may be more or less than any expected amounts.
For further information, see “Risk Factors” beginning
on page PS-7 above and “Supplemental Use of Proceeds” on page PS-16 of the accompanying product supplement.
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U.S. Federal Income Tax Summary
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The following summary of the material U.S. federal income tax considerations
of the acquisition, ownership, and disposition of the notes supplements, and to the extent inconsistent supersedes, the discussions
under “U.S. Federal Income Tax Considerations” in the accompanying prospectus and under “U.S. Federal Income
Tax Considerations” in the accompanying prospectus supplement and is not exhaustive of all possible tax considerations. In
addition, any reference to “Morrison & Foerster LLP” in the aforementioned tax discussions in the accompanying
prospectus and prospectus supplement should be read as a reference to “Sidley Austin LLP.” This summary is based upon
the Internal Revenue Code of 1986, as amended (the “Code”), regulations promulgated under the Code by the U.S. Treasury
Department (“Treasury”) (including proposed and temporary regulations), rulings, current administrative interpretations
and official pronouncements of the IRS, and judicial decisions, all as currently in effect and all of which are subject to differing
interpretations or to change, possibly with retroactive effect. No assurance can be given that the IRS would not assert, or that
a court would not sustain, a position contrary to any of the tax consequences described below. This summary does not include any
description of the tax laws of any state or local governments, or of any foreign government, that may be applicable to a particular
holder.
Although the notes are issued by us, they will be treated as if they were issued
by BAC for U.S. federal income tax purposes. Accordingly throughout this tax discussion, references to “we,” “our”
or “us” are generally to BAC unless the context requires otherwise.
This summary is directed solely to U.S. Holders and Non-U.S. Holders that, except
as otherwise specifically noted, will purchase the notes upon original issuance and will hold the notes as capital assets within
the meaning of Section 1221 of the Code, which generally means property held for investment, and that are not excluded from the
discussion under “U.S. Federal Income Tax Considerations” in the accompanying prospectus.
You should consult your own tax advisor concerning the U.S. federal income
tax consequences to you of acquiring, owning, and disposing of the notes, as well as any tax consequences arising under the laws
of any state, local, foreign, or other tax jurisdiction and the possible effects of changes in U.S. federal or other tax laws.
General
Although there is no statutory, judicial, or administrative authority directly
addressing the characterization of the notes, we intend to treat the notes for all tax purposes as contingent income-bearing single
financial contracts with respect to the Underlyings and under the terms of the notes, we and every investor in the notes agree,
in the absence of an administrative determination or judicial ruling to the contrary, to treat the notes in accordance with such
characterization. In the opinion of our counsel, Sidley Austin LLP, it is reasonable to treat the notes as contingent income-bearing
single financial contracts with respect to the Underlyings. However, Sidley Austin LLP has advised us that it is unable to conclude
that it is more likely than not that this treatment will be upheld. This discussion assumes that the notes constitute contingent
income-bearing single financial contracts with respect to the Underlyings for U.S. federal income tax purposes. If the notes did
not constitute contingent income-bearing single financial contracts, the tax consequences described below would be materially different.
This characterization of the notes is not binding on the IRS or the courts.
No statutory, judicial, or administrative authority directly addresses the characterization of the notes or any similar instruments
for U.S. federal income tax purposes, and no ruling is being requested from the IRS with respect to their proper characterization
and treatment. Due to the absence of authorities on point, significant aspects of the U.S. federal income tax consequences of an
investment in the notes are not certain, and no assurance can be given that the IRS or any court will agree with the characterization
and tax treatment described in this pricing supplement. Accordingly, you are urged to consult your tax advisor regarding all aspects
of the U.S. federal income tax consequences of an investment in the notes, including possible alternative characterizations.
Unless otherwise stated, the following discussion is based on the characterization
described above. The discussion in this section assumes that there is a significant possibility of a significant loss of principal
on an investment in the notes.
We will not attempt to ascertain whether any issuer of a component stock included
in an Underlying would be treated as a “passive foreign investment company” (“PFIC”), within the meaning
of Section 1297 of the Code, or a United States real property holding corporation, within the meaning of Section 897(c) of the
Code. If the issuer of one or more stocks included in an Underlying were so treated, certain adverse U.S. federal income tax consequences
could possibly apply to a holder of the notes. You should refer to information filed with the SEC by the issuers of the component
stocks included in each Underlying and consult your tax advisor regarding the possible consequences to you, if any, if any issuer
of a component stock included in an Underlying is or becomes a PFIC or is or becomes a United States real property holding corporation.
U.S. Holders
Although the U.S. federal income tax treatment of any Contingent Coupon Payment
on the notes is uncertain, we intend to take the position, and the following discussion assumes, that any Contingent Coupon Payment
constitutes taxable ordinary income to a U.S. Holder at the time received or accrued in accordance with the U.S. Holder’s
regular method of accounting. By purchasing the notes you agree, in the absence of an administrative determination or judicial
ruling to the contrary, to treat any Contingent Coupon Payment as described in the preceding sentence.
Upon receipt of a cash payment at maturity or upon a sale, exchange, or redemption
of the notes prior to maturity, a U.S. Holder generally will recognize capital gain or loss equal to the difference between the
amount realized (other than amounts representing any Contingent Coupon Payment, which would be taxed as described above) and the
U.S. Holder’s tax basis in the notes. A U.S. Holder’s tax basis in the notes will equal the
amount paid by that holder to acquire them. This capital gain or loss generally
will be long-term capital gain or loss if the U.S. Holder held the notes for more than one year. The deductibility of capital losses
is subject to limitations.
Alternative Tax Treatments. Due to the absence of authorities that directly
address the proper tax treatment of the notes, prospective investors are urged to consult their tax advisors regarding all possible
alternative tax treatments of an investment in the notes. In particular, the IRS could seek to subject the notes to the Treasury
regulations governing contingent payment debt instruments. If the IRS were successful in that regard, the timing and character
of income on the notes would be affected significantly. Among other things, a U.S. Holder would be required to accrue original
issue discount every year at a “comparable yield” determined at the time of issuance. In addition, any gain realized
by a U.S. Holder at maturity or upon a sale, exchange, or redemption of the notes generally would be treated as ordinary income,
and any loss realized at maturity or upon a sale, exchange, or redemption of the notes generally would be treated as ordinary loss
to the extent of the U.S. Holder’s prior accruals of original issue discount, and as capital loss thereafter.
In addition, it is possible that the notes could be treated as a unit consisting
of a deposit and a put option written by the note holder, in which case the timing and character of income on the notes would be
affected significantly.
The IRS released Notice 2008-2 (the “Notice”), which sought comments
from the public on the taxation of financial instruments currently taxed as “prepaid forward contracts.” This Notice
addresses instruments such as the notes. According to the Notice, the IRS and Treasury are considering whether a holder of an instrument
such as the notes should be required to accrue ordinary income on a current basis, regardless of whether any payments are made
prior to maturity. It is not possible to determine what guidance the IRS and Treasury will ultimately issue, if any. Any such future
guidance may affect the amount, timing and character of income, gain, or loss in respect of the notes, possibly with retroactive
effect.
The IRS and Treasury are also considering additional issues, including whether
additional gain or loss from such instruments should be treated as ordinary or capital, whether foreign holders of such instruments
should be subject to withholding tax on any deemed income accruals, whether Section 1260 of the Code, concerning certain “constructive
ownership transactions,” generally applies or should generally apply to such instruments, and whether any of these determinations
depend on the nature of the underlying asset.
In addition, proposed Treasury regulations require the accrual of income
on a current basis for contingent payments made under certain notional principal contracts. The preamble to the regulations states
that the “wait and see” method of accounting does not properly reflect the economic accrual of income on those contracts,
and requires current accrual of income for some contracts already in existence. While the proposed regulations do not apply to
prepaid forward contracts, the preamble to the proposed regulations expresses the view that similar timing issues exist in the
case of prepaid forward contracts. If the IRS or Treasury publishes future guidance requiring current economic accrual for contingent
payments on prepaid forward contracts, it is possible that you could be required to accrue income over the term of the notes.
Because of the absence of authority regarding the appropriate tax characterization
of the notes, it is also possible that the IRS could seek to characterize the notes in a manner that results in tax consequences
that are different from those described above. For example, the IRS could possibly assert that any gain or loss that a holder may
recognize at maturity or upon the sale, exchange, or redemption of the notes should be treated as ordinary gain or loss.
Because each Underlying is an index that periodically rebalances, it is possible
that the notes could be treated as a series of contingent income-bearing single financial contracts, each of which matures on the
next rebalancing date. If the notes were properly characterized in such a manner, a U.S. Holder would be treated as disposing of
the notes on each rebalancing date in return for new notes that mature on the next rebalancing date, and a U.S. Holder would accordingly
likely recognize capital gain or loss on each rebalancing date equal to the difference between the holder’s tax basis in
the notes (which would be adjusted to take into account any prior recognition of gain or loss) and the fair market value of the
notes on such date.
Non-U.S. Holders
Because the U.S. federal income tax treatment of the notes (including any Contingent
Coupon Payment) is uncertain, we will withhold U.S. federal income tax at a 30% rate (or at a lower rate under an applicable income
tax treaty) on the entire amount of any Contingent Coupon Payment made unless such payments are effectively connected with the
conduct by the Non-U.S. Holder of a trade or business in the U.S. (in which case, to avoid withholding, the Non-U.S. Holder will
be required to provide a Form W-8ECI). We will not pay any additional amounts in respect of such withholding. To claim benefits
under an income tax treaty, a Non-U.S. Holder must obtain a taxpayer identification number and certify as to its eligibility under
the appropriate treaty’s limitations on benefits article, if applicable. In addition, special rules may apply to claims for
treaty benefits made by Non-U.S. Holders that are entities rather than individuals. The availability of a lower rate of withholding
under an applicable income tax treaty will depend on whether such rate applies to the characterization of the payments under U.S.
federal income tax laws. A Non-U.S. Holder that is eligible for a reduced rate of U.S. federal withholding tax pursuant to an income
tax treaty may obtain a refund of any excess amounts withheld by filing an appropriate claim for refund with the IRS.
Except as discussed below, a Non-U.S. Holder generally will not be subject to
U.S. federal income or withholding tax for amounts paid in respect of the notes (not including, for the avoidance of doubt, amounts
representing any Contingent Coupon Payment which would be subject to the rules discussed in the previous paragraph) upon the sale,
exchange, or redemption of the notes or their settlement at maturity, provided that the Non-U.S. Holder complies with applicable
certification requirements and that the payment is not effectively connected with the conduct by the Non-U.S. Holder of a U.S.
trade or business. Notwithstanding the foregoing, gain from the sale, exchange, or redemption of the notes or their settlement
at
maturity may be subject to U.S. federal income tax if that Non-U.S. Holder is
a non-resident alien individual and is present in the U.S. for 183 days or more during the taxable year of the sale, exchange,
redemption, or settlement and certain other conditions are satisfied.
If a Non-U.S. Holder of the notes is engaged in the conduct of a trade or business
within the U.S. and if any Contingent Coupon Payment and gain realized on the settlement at maturity, or upon sale, exchange, or
redemption of the notes, is effectively connected with the conduct of such trade or business (and, if certain tax treaties apply,
is attributable to a permanent establishment maintained by the Non-U.S. Holder in the U.S.), the Non-U.S. Holder, although exempt
from U.S. federal withholding tax, generally will be subject to U.S. federal income tax on such Contingent Coupon Payment and gain
on a net income basis in the same manner as if it were a U.S. Holder. Such Non-U.S. Holders should read the material under the
heading “—U.S. Holders,” for a description of the U.S. federal income tax consequences of acquiring, owning,
and disposing of the notes. In addition, if such Non-U.S. Holder is a foreign corporation, it may also be subject to a branch profits
tax equal to 30% (or such lower rate provided by any applicable tax treaty) of a portion of its earnings and profits for the taxable
year that are effectively connected with its conduct of a trade or business in the U.S., subject to certain adjustments.
A “dividend equivalent” payment is treated as a dividend from sources
within the United States and such payments generally would be subject to a 30% U.S. withholding tax if paid to a Non-U.S. Holder.
Under Treasury regulations, payments (including deemed payments) with respect to equity-linked instruments (“ELIs”)
that are “specified ELIs” may be treated as dividend equivalents if such specified ELIs reference an interest in an
“underlying security,” which is generally any interest in an entity taxable as a corporation for U.S. federal income
tax purposes if a payment with respect to such interest could give rise to a U.S. source dividend. However, IRS guidance provides
that withholding on dividend equivalent payments will not apply to specified ELIs that are not delta-one instruments and that are
issued before January 1, 2021. Based on our determination that the notes are not delta-one instruments, Non-U.S. Holders should
not be subject to withholding on dividend equivalent payments, if any, under the notes. However, it is possible that the notes
could be treated as deemed reissued for U.S. federal income tax purposes upon the occurrence of certain events affecting the Underlyings
or the notes, and following such occurrence the notes could be treated as subject to withholding on dividend equivalent payments.
Non-U.S. Holders that enter, or have entered, into other transactions in respect of the Underlyings or the notes should consult
their tax advisors as to the application of the dividend equivalent withholding tax in the context of the notes and their other
transactions. If any payments are treated as dividend equivalents subject to withholding, we (or the applicable paying agent) would
be entitled to withhold taxes without being required to pay any additional amounts with respect to amounts so withheld.
As discussed above, alternative characterizations of the notes for U.S. federal
income tax purposes are possible. Should an alternative characterization, by reason of change or clarification of the law, by regulation
or otherwise, cause payments as to the notes to become subject to withholding tax in addition to the withholding tax described
above, tax will be withheld at the applicable statutory rate. Prospective Non-U.S. Holders should consult their own tax advisors
regarding the tax consequences of such alternative characterizations.
U.S. Federal Estate Tax. Under current law, while the matter is not entirely
clear, individual Non-U.S. Holders, and entities whose property is potentially includible in those individuals’ gross estates
for U.S. federal estate tax purposes (for example, a trust funded by such an individual and with respect to which the individual
has retained certain interests or powers), should note that, absent an applicable treaty benefit, a note is likely to be treated
as U.S. situs property, subject to U.S. federal estate tax. These individuals and entities should consult their own tax advisors
regarding the U.S. federal estate tax consequences of investing in a note.
Backup Withholding and Information Reporting
Please see the discussion under “U.S. Federal Income Tax Considerations
— Taxation of Debt Securities — Backup Withholding and Information Reporting” in the accompanying prospectus
for a description of the applicability of the backup withholding and information reporting rules to payments made on the notes.
Foreign Account Tax Compliance Act (“FATCA”)
The discussion in the accompanying prospectus under “U.S. Federal
Income Tax Considerations – Foreign Account Tax Compliance Act” is hereby modified to reflect regulations proposed
by Treasury indicating its intent to eliminate the requirements under FATCA of withholding on gross proceeds from the sale, exchange,
settlement at maturity, or other disposition of relevant financial instruments. Treasury has indicated that taxpayers may rely
on these proposed regulations pending their finalization.